Hi Mohammed,
The prefer method would be IDOC due to error handling capabilities if you ask between these two IDOC and Proxy.
Proxy Implementation - Enterprise Services for SAP Event Management (SAP EM) - SAP Library
BTW, Why don't you use RFC/BAPI instead of IDOC to connect PI -> SAP EM?
SAP Exchange Infrastructure Integration - SAP Event Management (SAP EM) - SAP Library
Regards
GGOPII